Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0887 |
| Annualized Std Dev | 0.2083 |
| Annualized Sharpe (Rf=0%) | 0.4258 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3580.0000 |
| NAs | 1.0000 |
| Minimum | -0.1206 |
| Quartile 1 | -0.0048 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1181 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.2824 |
| Kurtosis | 13.0801 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5528 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0323 |
| Modified VaR (95%) | -0.0187 |
| Modified ES (95%) | -0.0264 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-27 | -0.5528 | 979 | 444 | 535 |
| 2020-01-21 | 2020-03-23 | 2020-12-03 | -0.4132 | 222 | 44 | 178 |
| 2018-01-29 | 2018-12-24 | 2019-04-23 | -0.2217 | 310 | 229 | 81 |
| 2015-02-25 | 2016-02-11 | 2016-11-22 | -0.2106 | 442 | 244 | 198 |
| 2011-05-13 | 2011-08-10 | 2012-01-25 | -0.1795 | 177 | 62 | 115 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.3 |
| 2007 | 0.4 | -0.6 | -0.1 | 0.3 | 0.3 | -0.5 | -0.2 | 1 | 1.4 | -1.6 | 0.2 | -0.5 | 0.1 |
| 2008 | 1.8 | -2.4 | 3.5 | 2.2 | -0.2 | -0.6 | -0.7 | -0.8 | 4.5 | 3.5 | -6 | 1.8 | 6.4 |
| 2009 | -2.9 | -0.8 | 2 | 0.1 | 3.6 | 1.3 | 0 | -1.9 | -1.7 | -2.4 | 1 | -0.6 | -2.5 |
| 2010 | 0.2 | 0.9 | 0 | -1.8 | -1.1 | -0.4 | 1.1 | 2.3 | -0.6 | -0.2 | 1.5 | -0.4 | 1.5 |
| 2011 | 1.7 | -1 | 0.3 | -0.3 | -1.7 | 1.6 | -1.7 | -1.1 | -1.5 | -2.4 | 0.6 | -0.5 | -6.1 |
| 2012 | 1.2 | 0.4 | 0.7 | 0.6 | -2.6 | 2.3 | -0.6 | 0.5 | 0.2 | 1.1 | 0.3 | 1.7 | 6.1 |
| 2013 | 1.1 | 0.5 | -0.5 | -0.5 | -1.7 | 0.8 | 1.5 | -0.6 | 1 | 0.1 | 0 | 0.4 | 2.1 |
| 2014 | -0.8 | 0 | 1 | 0.1 | 0 | 0.6 | -0.2 | 0.4 | -1.2 | 1.3 | -1.1 | -0.6 | -0.4 |
| 2015 | -1.4 | -0.3 | -0.3 | 1.5 | 0.2 | 1 | 0.2 | -2.6 | 0.2 | -0.1 | 0.8 | -0.8 | -1.7 |
| 2016 | 0.2 | 2.3 | 0.3 | -0.8 | 0.1 | 0.2 | -0.3 | -0.2 | 1.1 | -0.6 | -0.2 | -0.5 | 1.5 |
| 2017 | -0.1 | 1.4 | -0.3 | 0.1 | 1.3 | 0.3 | 0 | 0.3 | 0.3 | 0 | -0.5 | -0.5 | 2.2 |
| 2018 | 0.5 | -1.1 | 0.9 | -0.2 | 0.8 | -0.2 | -0.6 | 0.2 | -0.3 | 1.4 | -0.1 | 0.7 | 2 |
| 2019 | 0.3 | 0.4 | 1.5 | -0.5 | -1.5 | 1 | -1.5 | 0.2 | -1.6 | 1.5 | -0.5 | 0.3 | -0.5 |
| 2020 | -2.2 | -1.5 | -5 | -3.2 | 0.4 | -0.6 | 0.4 | 0.8 | 0.3 | 0.2 | 1.6 | 0.6 | -8.1 |
| 2021 | 1.4 | 2.7 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
